/// <summary>
/// Will add any pending internal currency subscriptions
/// </summary>
/// <param name="utcStart">The current date time in utc</param>
/// <returns>Will return true if any subscription was added</returns>
public bool AddPendingInternalDataFeeds(DateTime utcStart)
{
var added = false;
if (!_initializedSecurityBenchmark)
{
_initializedSecurityBenchmark = true;
var securityBenchmark = _algorithm.Benchmark as SecurityBenchmark;
if (securityBenchmark != null)
{
var dataConfig = _algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(
securityBenchmark.Security.Symbol,
_dataPermissionManager.GetResolution(_algorithm.LiveMode ? Resolution.Minute : Resolution.Hour),
isInternalFeed: true,
fillForward: false).First();
// we want to start from the previous tradable bar so the benchmark security
// never has 0 price
var previousTradableBar = Time.GetStartTimeForTradeBars(
securityBenchmark.Security.Exchange.Hours,
utcStart.ConvertFromUtc(securityBenchmark.Security.Exchange.TimeZone),
_algorithm.LiveMode ? Time.OneMinute : Time.OneDay,
1,
false,
dataConfig.DataTimeZone).ConvertToUtc(securityBenchmark.Security.Exchange.TimeZone);
if (dataConfig != null)
{
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
securityBenchmark.Security,
dataConfig,
previousTradableBar,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
Log.Trace($"UniverseSelection.AddPendingInternalDataFeeds(): Adding internal benchmark data feed {dataConfig}");
}
}
}
if (_currencySubscriptionDataConfigManager.UpdatePendingSubscriptionDataConfigs(_algorithm.BrokerageModel))
{
foreach (var subscriptionDataConfig in _currencySubscriptionDataConfigManager
.GetPendingSubscriptionDataConfigs())
{
var security = _algorithm.Securities[subscriptionDataConfig.Symbol];
added |= _dataManager.AddSubscription(new SubscriptionRequest(
false,
null,
security,
subscriptionDataConfig,
utcStart,
_algorithm.EndDate.ConvertToUtc(_algorithm.TimeZone)));
}
}
return(added);
}
/// <summary>
/// Initializes a new instance of the <see cref="UniverseSelection"/> class
/// </summary>
/// <param name="algorithm">The algorithm to add securities to</param>
/// <param name="securityService">The security service</param>
/// <param name="dataPermissionManager">The data permissions manager</param>
/// <param name="dataProvider">The data provider to use</param>
/// <param name="internalConfigResolution">The resolution to use for internal configuration</param>
public UniverseSelection(
IAlgorithm algorithm,
ISecurityService securityService,
IDataPermissionManager dataPermissionManager,
IDataProvider dataProvider,
Resolution internalConfigResolution = Resolution.Minute)
{
_dataProvider = dataProvider;
_algorithm = algorithm;
_securityService = securityService;
_dataPermissionManager = dataPermissionManager;
_pendingRemovalsManager = new PendingRemovalsManager(algorithm.Transactions);
_currencySubscriptionDataConfigManager = new CurrencySubscriptionDataConfigManager(algorithm.Portfolio.CashBook,
algorithm.Securities,
algorithm.SubscriptionManager,
_securityService,
dataPermissionManager.GetResolution(Resolution.Minute));
// TODO: next step is to merge currency internal subscriptions under the same 'internal manager' instance and we could move this directly into the DataManager class
_internalSubscriptionManager = new InternalSubscriptionManager(_algorithm, internalConfigResolution);
}
/// <summary>
/// Initializes a new instance of the <see cref="UniverseSelection"/> class
/// </summary>
/// <param name="algorithm">The algorithm to add securities to</param>
/// <param name="securityService">The security service</param>
/// <param name="dataPermissionManager">The data permissions manager</param>
public UniverseSelection(
IAlgorithm algorithm,
ISecurityService securityService,
IDataPermissionManager dataPermissionManager)
{
_algorithm = algorithm;
_securityService = securityService;
_dataPermissionManager = dataPermissionManager;
_pendingRemovalsManager = new PendingRemovalsManager(algorithm.Transactions);
_currencySubscriptionDataConfigManager = new CurrencySubscriptionDataConfigManager(algorithm.Portfolio.CashBook,
algorithm.Securities,
algorithm.SubscriptionManager,
_securityService,
dataPermissionManager.GetResolution(Resolution.Minute));
}